Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0215
Annualized Std Dev 0.1892
Annualized Sharpe (Rf=0%) -0.1139

Row

Daily Return Statistics

Close
Observations 4441.0000
NAs 1.0000
Minimum -0.1430
Quartile 1 -0.0040
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0043
Maximum 0.1876
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0119
Skewness 0.3205
Kurtosis 39.8739

Downside Risk

Close
Semi Deviation 0.0086
Gain Deviation 0.0095
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0132
Downside Deviation (Rf=0%) 0.0086
Downside Deviation (0%) 0.0086
Maximum Drawdown 0.6609
Historical VaR (95%) -0.0146
Historical ES (95%) -0.0287
Modified VaR (95%) -0.0089
Modified ES (95%) -0.0089
From Trough To Depth Length To Trough Recovery
2004-01-08 2008-11-21 NA -0.6609 4330 1229 NA
2003-08-04 2003-09-24 2003-11-12 -0.0453 72 37 35
2003-11-13 2003-11-21 2003-12-03 -0.0193 14 7 7
2003-12-05 2003-12-18 2003-12-26 -0.0144 15 10 5
2003-12-31 2004-01-02 2004-01-06 -0.0085 4 2 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA 0.1 0 1 0.3 0.3 -0.8 0.8
2004 0.7 0 0.3 -1.6 -0.2 1.6 1.2 0 -0.1 0.7 0.3 0.3 3.2
2005 0.4 0.1 1.3 -0.2 0.5 -0.2 -0.5 -0.2 0.5 0.6 0.2 3.8 6.6
2006 0.2 -0.2 0.2 -0.1 0.6 0.6 0 -0.3 -0.2 0.2 0.3 -1.5 -0.2
2007 0.9 -0.4 -1.3 -0.1 0.6 0.1 -0.9 0.6 0.4 -0.4 1 0.9 1.3
2008 0.1 -1.8 1.3 0.6 0.5 -0.3 2.1 0 5.5 -0.4 -4.9 0.3 2.6
2009 0 -3.9 -0.4 1.2 0.2 1.4 0.6 -0.2 -1.3 -2.9 1 -0.2 -4.5
2010 1.4 0 0.1 0.3 -0.5 -0.7 0.4 -0.7 0.2 0.3 1.5 0.5 2.8
2011 0.6 -1.3 -0.2 0.4 -0.1 0.2 2.3 1.1 -2.2 -1.4 1.4 0.6 1.5
2012 1.2 -0.4 0.8 0.4 -0.8 1.2 0.3 0.4 0.2 0.7 0.2 0.3 4.6
2013 -0.4 -0.1 -0.1 0.2 -0.7 0.7 -0.8 0.2 -0.1 -0.6 0.4 -0.5 -1.8
2014 0 -0.2 0.4 0 0.1 -0.2 -0.6 0.2 0.2 0.2 -0.2 0.9 0.9
2015 -0.1 0.3 -0.1 0.1 0.4 0.3 0.1 0.1 -0.8 0.3 0.6 0.6 1.7
2016 0.2 1.6 -0.3 0 0.3 0.8 -0.5 -0.7 0.2 -1 -1.3 0.6 -0.1
2017 0.2 0.3 -0.1 0 0.7 0.4 0.3 0.4 0 0 0.2 0.2 2.6
2018 0.7 0.1 0.2 0.1 0.9 -0.5 0 0.4 0.7 1 -1.2 0.2 2.7
2019 0.5 -0.4 1.7 0.5 -0.7 0 0 -0.7 0.3 0.2 0.3 0.6 2.3
2020 -0.5 -1.2 -1.9 -1.1 0.3 0.6 0.1 1 -0.3 0 1.4 -1 -2.5
2021 1.9 1.4 -1.4 NA NA NA NA NA NA NA NA NA 1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-07-29  15   SPY    99.4 -0.0046    0.0023   0.0178   0.0829   0.107    -0.327       NA <NA>     NA    NA       NA
2 2003-07-30  15   SPY    99.2 -0.00240  -0.0008   0.0157   0.0789   0.0904   -0.325       NA <NA>     NA    NA       NA
3 2003-07-31  15   SPY    99.4  0.0023    0.0091   0.0087   0.0815   0.0903   -0.325       NA <NA>     NA    NA       NA
4 2003-08-01  15.0 SPY    98.5 -0.0089   -0.0172  -0.0126   0.0569   0.110    -0.325       NA <NA>     NA    NA       NA
5 2003-08-04  15   SPY    98.5  0        -0.0135  -0.0023   0.0589   0.135    -0.322       NA <NA>     NA    NA       NA
6 2003-08-05  15.0 SPY    96.4 -0.0212   -0.03    -0.0425   0.0267   0.151    -0.321       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart